Order Book
Definition
The order book is the list of open buy and sell orders on a market pair. It shows the aggregate size resting at each price level — the market depth available on each side of the book.
The order book consists of the following values.
- Best bid — the highest price at which market participants are willing to buy
- Best ask — the lowest price at which market participants are willing to sell
- Mid — the average of the best bid and the best ask
- Spread — the difference between the best ask and the best bid
Where trade data records trades that have already occurred, the order book shows the distribution of orders that have not yet been filled.
Details
The order book is delivered in two forms: snapshot and delta update.
A snapshot contains the full order book at a point in time. It includes every price level the exchange discloses; the number of levels differs by exchange.
A delta update is incremental data carrying only the price levels that changed since the previous state. Each event replaces the size at that price level with a new value, and a quantity of zero means the level has been removed. Building an initial book from a snapshot and applying delta updates in sequence reconstructs the order book at any point in time.
Order book data is identified by exchange name and market code, and is delivered in real time.